External memory systems are pivotal for enabling Large Language Model (LLM) agents to maintain persistent knowledge and perform long-horizon decision-making. Existing paradigms typically follow a two-stage process: computationally expensive memory construction (e.g., structuring data into graphs) followed by naive retrieval-augmented generation. However, our empirical analysis reveals two fundamental limitations: complex construction incurs high costs with marginal performance gains, and simple context concatenation fails to bridge the gap between retrieval recall and reasoning accuracy. To address above challenges, we propose **CoM (Chain-of-Memory)**, a novel framework that advocates for a paradigm shift toward lightweight construction paired with sophisticated utilization. CoM introduces a *Chain-of-Memory* mechanism that organizes retrieved fragments into coherent inference paths through dynamic evolution, utilizing adaptive truncation to prune irrelevant noise. Extensive experiments on the LongMemEval and LoCoMo benchmarks demonstrate that CoM outperforms strong baselines with accuracy gains of 7.5%–10.4%, while drastically reducing computational overhead to approximately 2.7% of token consumption and 6.0% of latency compared to complex memory architectures.

Supervised fine-tuning (SFT) on chain-of-thought (CoT) trajectories demonstrations is a common approach for enabling reasoning in large language models. Standard practices typically only retain trajectories with correct final answers (*positives*) while ignoring the rest (*negatives*). We argue that this paradigm discards substantial supervision and exacerbates overfitting, limiting out-of-domain (OOD) generalization. Specifically, we surprisingly find that incorporating *negative* trajectories into SFT yields substantial OOD generalization gains over *positive-only* training, as these trajectories often retain valid intermediate reasoning despite incorrect final answers. To understand this effect in depth, we systematically analyze data, training dynamics, and inference behavior, identifying 22 recurring patterns in negative chains that serve a dual role: they moderate loss descent to mitigate overfitting during training and boost policy entropy by 35.67% during inference to facilitate exploration. Motivated by these observations, we further propose **Gain-based LOss Weighting** (GLOW), an adaptive, sample-aware scheme that exploits such distinctive training dynamics by rescaling per-sample loss based on inter-epoch progress. Empirically, GLOW efficiently leverages unfiltered trajectories, yielding a 5.51% OOD gain over positive-only SFT on Qwen2.5-7B and boosting MMLU from 72.82% to 76.47% as an RL initialization. Code is available at [Github](https://github.com/Eureka-Maggie/GLOW).